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題名 Are Changes in Foreign Exchange Reserves a Good Proxy for Official Intervention?
作者 張元晨
Suardi, Sandy ; Chang, Yuanchen
貢獻者 財管系
關鍵詞 Foreign exchange reserves; Central bank intervention; Conditional correlation
日期 2012.04
上傳時間 17-四月-2014 17:43:50 (UTC+8)
摘要 Little is known about the adequacy of changes in reserves as a proxy for intervention despite its use in computing exchange market pressure index. This paper demonstrates the co-movement between monthly reserves changes and intervention is governed by intervention amount, the frequency of the intervention and the nature of intervention activity. We find purchases and sales of US dollars intervention produces correlation asymmetry in the US but not in Japan and Germany. Furthermore, the conditional correlation is stronger when intervention frequency and amount increase. Our results are robust to influence of key macroeconomic factors and revaluation effects on foreign reserves.
關聯 Journal of International Financial Markets, Institutions and Money, 22(4), 678-695
資料來源 http://dx.doi.org/10.1016/j.intfin.2012.04.004
資料類型 article
DOI http://dx.doi.org/http://dx.doi.org/10.1016/j.intfin.2012.04.004
dc.contributor 財管系en_US
dc.creator (作者) 張元晨zh_TW
dc.creator (作者) Suardi, Sandy ; Chang, Yuanchenen_US
dc.date (日期) 2012.04en_US
dc.date.accessioned 17-四月-2014 17:43:50 (UTC+8)-
dc.date.available 17-四月-2014 17:43:50 (UTC+8)-
dc.date.issued (上傳時間) 17-四月-2014 17:43:50 (UTC+8)-
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/65485-
dc.description.abstract (摘要) Little is known about the adequacy of changes in reserves as a proxy for intervention despite its use in computing exchange market pressure index. This paper demonstrates the co-movement between monthly reserves changes and intervention is governed by intervention amount, the frequency of the intervention and the nature of intervention activity. We find purchases and sales of US dollars intervention produces correlation asymmetry in the US but not in Japan and Germany. Furthermore, the conditional correlation is stronger when intervention frequency and amount increase. Our results are robust to influence of key macroeconomic factors and revaluation effects on foreign reserves.en_US
dc.format.extent 893678 bytes-
dc.format.mimetype application/pdf-
dc.language.iso en_US-
dc.relation (關聯) Journal of International Financial Markets, Institutions and Money, 22(4), 678-695en_US
dc.source.uri (資料來源) http://dx.doi.org/10.1016/j.intfin.2012.04.004en_US
dc.subject (關鍵詞) Foreign exchange reserves; Central bank intervention; Conditional correlationen_US
dc.title (題名) Are Changes in Foreign Exchange Reserves a Good Proxy for Official Intervention?en_US
dc.type (資料類型) articleen
dc.identifier.doi (DOI) 10.1016/j.intfin.2012.04.004en_US
dc.doi.uri (DOI) http://dx.doi.org/http://dx.doi.org/10.1016/j.intfin.2012.04.004en_US